Neyman-Pearson Hedging and Dynamic Measures of Risk
Neyman-Pearson Hedging and Dynamic Measures of Risk
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Date
2000
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CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 2000/11
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Abstract
In both complete and incomplete markets we consider the problem of fulfilling
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.
a financial obligation x as well as possible at time T if the initial capital is not
sufficient to hedge x. This introduces a new risk into the market and our main
aim is to minimize this shortfall risk by making use of results from bsde theory.
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Subject (DDC)
510 Mathematics
Keywords
capital requirement,hedging,Neyman-Pearson hedging,dynamic measures of risk,mean variance hedging
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KOHLMANN, Michael, 2000. Neyman-Pearson Hedging and Dynamic Measures of RiskBibTex
@techreport{Kohlmann2000Neyma-696, year={2000}, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Neyman-Pearson Hedging and Dynamic Measures of Risk}, number={2000/11}, author={Kohlmann, Michael} }
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